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統計数学セミナー
過去の記録 ～04/25｜次回の予定｜今後の予定 04/26～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2009年12月14日(月)
14:00-15:10 数理科学研究科棟(駒場) 128号室
L. VOSTRIKOVA 氏 (LAREMA, Departement de Mathematiques, Universite d’Angers, FRANCE)
On the stability of contingent claimes in incomplet models under statistical estimations.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/11.html
L. VOSTRIKOVA 氏 (LAREMA, Departement de Mathematiques, Universite d’Angers, FRANCE)
On the stability of contingent claimes in incomplet models under statistical estimations.
[ 講演概要 ]
In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure P and corresponding martingale measure Q change to tilde{P} and tilde{Q} respectively. Then, we estimate L1 distance of option’s prices for corresponding parametric models with known and estimated parameters. The results are applied to exponential Levy models with special choise of martingale measure as Esscher measure, minimal entropy measure and f^q -minimal martingale measure. We illustrate our results by considering GMY and CGMY models.
[ 参考URL ]In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure P and corresponding martingale measure Q change to tilde{P} and tilde{Q} respectively. Then, we estimate L1 distance of option’s prices for corresponding parametric models with known and estimated parameters. The results are applied to exponential Levy models with special choise of martingale measure as Esscher measure, minimal entropy measure and f^q -minimal martingale measure. We illustrate our results by considering GMY and CGMY models.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2009/11.html
